Have you tried using either Sigil or calibre's ebook editor with the epubcheck plugin to check the ebooks for issues?
For kepub, to highlight, you need the added spans. A simple rename from .epub to .kepub.epub will open the ebook using the WebKit based renderer but highlighting will not work.
You may want to check the
Kobo epub-spec page for more information.
I've seen that popup about DRM but found that it went away after restarting my Kobo. One thing you might want to do is to copy the activation.xml file from the .adobe-digital-editions directory on your Aura One to the Sage to make sure they are activated with the same Adobe ID.
As for the .mobi file, the mobi format supported by Kobo is an antique version for Mobipocket files. Amazon has made many changes over the decades to that format and .mobi files from Amazon will not work properly on a Kobo ereader.